Value-at-RiskVaR
0.63
↓
0.004%
from yesterday
Expected ShortfallES
0.78
↓
0.005%
from yesterday
25% Drop Probability25% Drop
1.2%
↓
0.01%
from yesterday
Years Until 25% Drop25% Freq.
81.8years
↑
0.663%
from yesterday
Model RiskModel Risk
2.23
↑
0.029%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.82 | 0.8 | 0.37 | 0.46 | 0.47 | 0.83 | 0.63 | 2.23 |
| ES | 1.09 | 0.91 | 0.43 | 0.52 | 0.6 | 1.14 | 0.78 | 2.67 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
